CalPERS expected to report losing nearly one-quarter of investment portfolio The estimated $56.8-billion drop at the U.S.' largest pension fund, the second annual loss in a row, would have a huge effect on what state and local governments must shell out to support retirees. Marc Lifsher July 20, 2009. Reporting from Sacramento -- California's huge government pension fund is expected to report on Tuesday a whopping annual loss of an estimated $56.8 billion, almost a quarter of its investment portfolio. The loss at the California Public Employees' Retirement System for the fiscal year ended June 30 is the second in...